Description

Usage

1
2

Arguments

y

length n vector

z

n \times J matrix

a0

length J vector

eps

length J vector, default to be rep(0.1/J, J)

reltol

relative tolerence for Newton step, between 0 to 1, default to be 10^{-3}. For each inner loop, we optimize f_0 + ρ \times \mathrm{pen} for a fixed ρ, we stop when the Newton decrement f(x) - inf_y \hat{f}(y) ≤q f(x)* \mathrm{reltol}, where \hat{f} is the second-order approximation of f at x

relerr

relerr stop when within (1+relerr) of minimum variance, default to be 10^{-3}, between 0 to 1.